Option Pricing with Given Risk Constraints and Its Application to Life Insurance Contracts
This paper presents a method for hedging in markets of two-factor diffusion and jump diffusion models under the restriction of a specified probability of success. In addition, a method for hedging with a given shortfall amount is developed. A maximal perfect hedging set is constructed for options in...
Na minha lista:
| Principais autores: | , |
|---|---|
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
MDPI AG
2025-03-01
|
| coleção: | AppliedMath |
| Assuntos: | |
| Acesso em linha: | https://www.mdpi.com/2673-9909/5/1/25 |
| Tags: |
Sem tags, seja o primeiro a adicionar uma tag!
|